
where \(\lbrace \eta _{\text{i}},\beta _{\text{i}}\rbrace _{\text{i}=1}^\text{R}\)  are tuning constants that, if no prior information is available, can be set to \(\eta _{\text{i}} = 1\)  and \(\beta _{\text{i}}=\beta \)  for all \(\text{i}\) . The optimization in (REF ) is convex, so that it can be handled with generic off-the-shelf solvers. When computational complexity is a concern, one can alternatively develop efficient algorithms tailored to the structure of (REF ), see, e.g., [1]} for a related problem.
